Open Interest History Requests Don't Drop Weekends

[DerekMelchin]

Expected Behavior

When we request 5 daily open interest values for a contract, the history request returns 5 data points.

Actual Behavior

The history request returns 5 data points, plus days when the market was closed.

self = QuantBook()
self.set_start_date(2024, 12, 19)
equity = self.add_equity("SPY", data_normalization_mode=DataNormalizationMode.RAW)
symbol = sorted(self.option_chain(equity.symbol), key=lambda c: c.open_interest)[-1].symbol
history = self.history(OpenInterest, symbol, 5, Resolution.DAILY)
history

TradeBar history requests work as expected.

Potential Solution

N/A

Reproducing the Problem

Run code snippet above

System Information

QC Cloud

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues

• I have provided detailed steps to reproduce the issue

[DerekMelchin]

With Futures, I get 7 data points, where 6 of them are unique.

self = QuantBook()
self.set_start_date(2024, 12, 19)
future = self.add_future(Futures.Indices.SP_500_E_MINI)
contract_symbols = self.future_chain_provider.get_future_contract_list(future.symbol, self.time)
symbol = sorted(contract_symbols, key=lambda symbol: symbol.id.date)[0]
history = self.history(OpenInterest, symbol, 5, Resolution.DAILY)
history

[Martin-Molinero]

Open Interest is expected to arrive outside of market hours so we are using an always open exchange, but for fill forwarding we might use regular market hours instead 👍